Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0570 |
| Annualized Std Dev | 0.2373 |
| Annualized Sharpe (Rf=0%) | 0.2401 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3429.0000 |
| NAs | 1.0000 |
| Minimum | -0.1241 |
| Quartile 1 | -0.0053 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1159 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | -0.3805 |
| Kurtosis | 9.4653 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0107 |
| Loss Deviation | 0.0123 |
| Downside Deviation (MAR=210%) | 0.0153 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.6375 |
| Historical VaR (95%) | -0.0220 |
| Historical ES (95%) | -0.0370 |
| Modified VaR (95%) | -0.0230 |
| Modified ES (95%) | -0.0432 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-17 | 2009-03-06 | 2012-09-14 | -0.6375 | 1267 | 379 | 888 |
| 2018-01-29 | 2020-03-23 | 2021-01-14 | -0.4555 | 747 | 541 | 206 |
| 2015-05-05 | 2016-01-20 | 2016-11-15 | -0.2506 | 389 | 180 | 209 |
| 2014-09-02 | 2014-10-13 | 2014-12-26 | -0.0951 | 82 | 30 | 52 |
| 2012-09-17 | 2012-11-14 | 2012-12-18 | -0.0837 | 64 | 41 | 23 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | -0.3 | 1.3 | -2.6 | -1.7 | 1.1 | -2 | 2.5 | -0.6 | -2.5 |
| 2008 | 1.8 | -3.5 | 3.5 | 2.9 | 1.4 | -0.8 | -0.6 | -0.4 | 4.1 | 3.3 | -5.8 | 4.1 | 9.9 |
| 2009 | -3 | -2 | 2 | 1 | 5.5 | 0.7 | 0.2 | -1.9 | -2.3 | -2.6 | 1.4 | -1.1 | -2.4 |
| 2010 | 0.6 | 1 | 0.8 | -1.2 | -1.3 | -0.6 | 0.2 | 3.2 | 0.4 | -0.2 | 1.8 | 0 | 4.5 |
| 2011 | 1.6 | -1.3 | 0.7 | 0.2 | -2 | 1.4 | -0.7 | -1.3 | -2.1 | -3.5 | 0.1 | -0.3 | -7.2 |
| 2012 | 1.5 | 0.7 | 0.2 | 0.7 | -2.5 | 2.7 | -0.1 | 0.6 | 0.3 | 1.4 | 0.2 | 1.9 | 7.7 |
| 2013 | 0.8 | 0.2 | -0.6 | -1.1 | -1.4 | 0.3 | 1.6 | -0.7 | 0.8 | 0.3 | -0.4 | 0.4 | 0 |
| 2014 | -0.7 | 0.5 | 0.5 | 0.1 | 0.1 | 0.3 | -0.4 | 0.5 | -1.5 | 1.1 | -0.5 | -1.1 | -1.1 |
| 2015 | -0.6 | -0.1 | 0 | 0.8 | -0.1 | 0.2 | -0.2 | -2.8 | -0.5 | 0.5 | 0.8 | -0.7 | -2.9 |
| 2016 | 0.1 | 1.8 | -0.1 | -1.3 | 0.2 | 0.3 | -0.6 | -0.3 | 1.4 | -0.9 | 0.5 | -0.2 | 0.7 |
| 2017 | -0.1 | 1.1 | -0.1 | -0.2 | 1.2 | 0.3 | 0.2 | 0.5 | 0.2 | 0.5 | -0.1 | -0.5 | 2.9 |
| 2018 | -0.3 | -1 | 1.3 | -0.2 | 0.5 | -0.1 | -1 | 0 | 0 | 1.3 | 0.4 | 0.8 | 1.6 |
| 2019 | 0.1 | 0.4 | 1.6 | -1 | -1.8 | 0.7 | -2.2 | 0.3 | -2 | 1.7 | -0.6 | 0.3 | -2.6 |
| 2020 | -2.2 | -1.3 | -5.2 | -5 | 1.5 | -1.5 | -0.4 | 0 | 0 | -0.3 | 1.1 | 1 | -11.9 |
| 2021 | 0.9 | 2.2 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-11 30.0 SPY 151. 0.0086 -0.0004 0.0429 0.0481 0.138 0.386 0.400 GLD 66.4 0.0068 -0.0255
2 2007-05-17 30.2 SPY 151. -0.002 0.0115 0.0274 0.0377 0.170 0.375 0.378 GLD 65.1 -0.0082 -0.0142
3 2007-05-22 30.6 SPY 152. -0.0008 0.0123 0.0294 0.0441 0.199 0.395 0.389 GLD 65.2 -0.0069 -0.0198
4 2007-05-23 30.5 SPY 152. 0.0001 0.0055 0.0292 0.045 0.209 0.391 0.402 GLD 65.5 0.0049 -0.0009
5 2007-05-24 30.4 SPY 151. -0.0091 -0.0016 0.0106 0.0396 0.207 0.376 0.387 GLD 64.8 -0.0121 -0.00480
6 2007-06-05 30.6 SPY 153. -0.004 0.0082 0.017 0.0987 0.190 0.357 0.471 GLD 66.4 -0.0026 0.02
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
